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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

Credit Derivatives and Corporate Default Prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Persistent link: https://www.econbiz.de/10013213330

Credit derivatives and corporate default prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - In: Journal of banking & finance 138 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013461780

Good volatility, bad volatility, and the cross section of cryptocurrency returns

Zhang, Zehua; Zhao, Ran - In: International review of financial analysis 89 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014464825

Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?

Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015062448